Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-0430103-132754


Document Typethesis
Author NameGao, Pan
URNetd-0430103-132754
TitlePortfolio Construction and Risk Management: Practical Issues and Examples
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Arthur C. Heinricher, Advisor
  • Keywords
  • Finance
  • Risk Management
  • Portfolio Theory
  • Date of Presentation/Defense2003-04-28
    Availability unrestricted

    Abstract

    This thesis describes some of the practical issues faced by a portfolio manager in analyzing the risk associated with a portfolio of assets. The main tools used are the mean-variance optimization algorithm introduced by Markowitz and multi-factor models for risk decomposition. A sample portfolio designed to track the Russell 1000G stock index is constructed that minimizes tracking error while satisfying constraints on the exposure of the portfolio to particular factors (growth and market capitalization).

    Files
  • gao.pdf

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